Pay Pal Message & "Continue to Check Out" Button on the same page. Why?

Hello!

When I click down below on the PayPal Billing page where is say's "Click on Cancel and return to Cory Lavine Music" I do that. When that happens, I go back to my website and I get a message from PayPal that states, "Your PayPal transaction has been canceled." Below this I get a button that say's, "Continue to Checkout." Is there a reason why I am seeing this and why the item is still in my shopping cart? Shouldn't I have that message appear on the same page as my shopping cart and for the cart to be empty?

Thanks!